MTS: VARXpred – R documentation

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VARXpred

VARX Model Prediction

Computes point forecasts of a VARX model. The values of exogenous variables must be given.

VARXpred(m1, newxt = NULL, hstep = 1, orig = 0)

`m1`	An output object of VARX or refVARX command
`newxt`	The data matrix of exogenous variables needed in forecasts.
`hstep`	Forecast horizon
`orig`	Forecast origin. Default is 0, meaning the last data point.

Uses the provided exogenous variables and the model to compute forecasts

Point forecasts and their standard errors

Ruey S. Tsay

Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8